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Recently, atomically thin PdSe _2 semiconductors with rare pentagonal Se–Pd–Se monolayers were synthesized and were also found to possess superior properties such as ultrahigh air stability, tunable band gap and high carrier mobility, thus offering a new family of two-dimensional (2D) materials for exploration of 2D semiconductor physics and for applications in advanced opto-electronic and nonlinear photonic devices. In this work, we systematically study the nonlinear optical (NLO) responses [namely, bulk photovoltaic effect (BPVE), second-harmonic generation (SHG) and linear electric-optic (LEO) effect] of noncentrosymmetric bilayer (BL) and four-layer PdS _2 and PdSe _2 by applying the first-principles density functional theory with the generalized gradient approximation plus scissors-correction. First of all, we find that these few-layer Pd X _2 ( X = S and Se) exhibit prominent BPVE. In particular, the calculated shift current conductivity is in the order of 130 μ A V ^−2 , being very high compared to known BPVE materials. Similarly, their injection current susceptibilities are in the order of 100 × 10 ^8 A V ^−2 s ^−1 , again being large. Secondly, the calculated SHG coefficients ( χ ^(2) ) of these materials are also large, being one order higher than that of the best-known few-layer group 6B transition metal dichalcogenides. For example, the maximum magnitude of χ ^(2) can reach 1.4 × 10 ^3 pm V ^−1 for BL PdSe _2 at 1.9 eV and 1.2 × 10 ^3 pm V ^−1 at 3.1 eV for BL PdS _2 . Thirdly we find significant LEO coefficients for these structures in the low photon energy. All these indicate that 2D Pd X _2 semiconductors will find promising NLO applications in light signal modulators, frequency converters, electro-optical switches and photovoltaic solar cells. Fourthly, we find that the large BPVE and SHG of the few-layer Pd X _2 structures are due to strong intralayer directional covalent bonding and also 2D quantum confinement. Finally, we also discuss the prominent features of these NLO spectra of these materials in terms of their electronic structure and optical dielectric functions.